I've only dry hopped once. I used pellets and since I don't secondary, I put them right in to the fermenter after most of the fermentation had stopped. The pellets broke up and fell out after about a week.
If you use leaf hops, I think they float.
I've also heard of some folks using a mesh bag to dry hop in. This is supposed to make it easier to remove them when racking.

I haven't done it enough to say that I dislike it or not. I'm not a huge hop head, so tend to not use a lot of hops in my brews.
Dry hopping does give it a little different hop flavor as opposed to adding flavor hops to the boil.

Pellets
I dry hop in the secondary. After the first week, I place the fermentor in my lager chest freezer to drop the temperature. The hops fall out of suspension and as a side bonus is cold when it goes into the keg. Just keep the siphon above the hops when transferring.

so I used 1oz of Willamette whole leaf hops. just dumped them in a sterile funnel and pushed them in using a sterile chopstick. well after about 24 hours my bubbling came to a crawl . I checked the gravity and its .012. right about where it should be giving me a ABV of 5.6% as it sits right now. the beer really cleared up too. It was cloudy and caramel looking and now it looks pretty clean and nice dark brown/amber color.

now the fun part is getting all those hops out after I rack and bottle. will report back on that adventure.

kangarool, I'd just chuck if I were you. I usually dry hop with whole leaf in my secondary, then use a sanitized hop sack tied to the submerged end of my racking tube to filter the hops out...works awesome.

I have dry hopped with pellets and whole hops and always just add them straight to secondary without a bag. When I do a long dry hop, i.e. 3 weeks or more the whole flowers will eventually become saturated enough to sink. Pellets always end up sinking about a week after addition.

After dry hopping every single one of my first 8 brews I prefer to use pellets now, they sink better and allow the glands to be more directly exposed to the beer resulting in a more pronounced hop aroma and flavor. Which is what I desire with every brew being a big hop head. Only time I use whole hops now is when the strain I want isnt available in pellets.

the 1st go around went smoothly for me, whole hops directly into the beer. I lost a little beer that was trapped in the hops but all in all it went well and they came out easy.

I am hesitant to use pellets, do they breatk up? If so then you have to have some hops "grains" that transfer out in the beer when you rack to bottle?

I dont filter my beer but work pretty hard to get it clear. I dont have much trub in the bottle of my bottles, when I did I keg now. But I would think pellets would add to the cloudiness and trub in the finished product?